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Tick size, NYSE rule 118, and ex-dividend day stock price behavior

Citations

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Cited by:

  1. Shishir Paudel & Sabatino (Dino) Silveri & Mark Wu, 2020. "Nasdaq ex‐day behavior: An out‐of‐sample test," Review of Financial Economics, John Wiley & Sons, vol. 38(2), pages 405-420, April.
  2. Josef García Blandón & M?nica Martínez Blasco & Josef Argiles Bosch, 2011. "Ex-Dividend Day Returns when Dividend and Capital Gains are Taxed at the Same Rate," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 140-152, June.
  3. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
  4. Kose John & Ravi S. Mateti & Duong Nguyen & Gopala Vasudevan, 2016. "The Ex†dividend Day Behaviour of REITs: Tax or Market Microstructure Effects," European Financial Management, European Financial Management Association, vol. 22(3), pages 341-366, June.
  5. Asimakopoulos, Panagiotis N. & Tsangarakis, Nickolaos V. & Tsiritakis, Emmanuel D., 2015. "Price adjustment method and ex-dividend day returns in a different institutional setting," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 1-12.
  6. Jack Francis & Tsing Wu & Nan-Ting Kuo, 2012. "Effects of tax reform on drop-off ratios and on the ex-dividend and ex-right prices," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 147-164, August.
  7. Justin Cox & Kathleen P. Fuller & Robert Van Ness, 2024. "Where does ex‐dividend trading occur: An examination of trading venues around dividends," The Financial Review, Eastern Finance Association, vol. 59(1), pages 31-55, February.
  8. Castillo, Augusto & Jakob, Keith, 2006. "The Chilean ex-dividend day," Global Finance Journal, Elsevier, vol. 17(1), pages 105-118, September.
  9. Jeff Whitworth & Ramesh P. Rao, 2010. "Do Tax Law Changes Influence Ex‐Dividend Stock Price Behavior? Evidence from 1926 to 2005," Financial Management, Financial Management Association International, vol. 39(1), pages 419-445, March.
  10. Jeff Whitworth & David A. Carter, 2010. "The Ex‐Day Price Behavior of REITs: Taxes or Ticks?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 733-752, Winter.
  11. Paudel, Shishir & Silveri, Sabatino (Dino) & Wu, Mark, 2022. "Investor sentiment and asset prices: Evidence from the ex-day," Journal of Banking & Finance, Elsevier, vol. 139(C).
  12. Vassilis A. Efthymiou & George N. Leledakis, 2014. "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 711-724, April.
  13. Aelee Jun & Graham H. Partington, 2014. "Taxes, International Clienteles and the Value of ADR Dividends," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1337-1360, November.
  14. Oliver Zhen Li, 2010. "Tax-Induced Dividend Capturing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 866-904.
  15. William Hardin & Kartono Liano & Gow-Cheng Huang & Gregory Nagel, 2007. "REITs, Decimalization, and Ex-dividend Stock Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 499-511, May.
  16. Jakob, Keith J. & Ma, Tongshu, 2007. "Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 718-735, December.
  17. Hodgkinson, Lynn & Partington, Graham, 2013. "Capital gains tax, managed funds and the value of dividends: The case of New Zealand," The British Accounting Review, Elsevier, vol. 45(4), pages 271-283.
  18. Khamis Al Yahyaee & Toan Pham & Terry Walter, 2008. "Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 103-123, September.
  19. Efthymiou, Vassilis A. & Episcopos, Athanasios & Leledakis, George N. & Pyrgiotakis, Emmanouil G., 2021. "Intraday analysis of the limit order bias on the ex-dividend day of U.S. common stocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 405-421.
  20. Bali, Rakesh & Francis, Jack Clark, 2016. "Ex day effects of the 2003 dividend tax cut," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 11-22.
  21. Chen, Hung-Ling & Chow, Edward H. & Shiu, Cheng-Yi, 2013. "Ex-dividend prices and investor trades: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 39-65.
  22. Dupuis, Daniel, 2019. "Ex-dividend day price behavior and liquidity in a tax-free emerging market," Emerging Markets Review, Elsevier, vol. 38(C), pages 239-250.
  23. Oliver Zhen Li, 2010. "Tax‐Induced Dividend Capturing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7‐8), pages 866-904, July.
  24. Keith Jakob & Ryan Whitby, 2017. "The impact of nominal stock price on ex-dividend price responses," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 939-953, May.
  25. B. Prasanna Kumar, 2017. "Derived signals for S & P CNX nifty index futures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-22, December.
  26. Kai-Wei (Shaun) Siau & Stephen J. Sault & Geoffrey J. Warren & Henk Berkman, 2015. "Are imputation credits capitalised into stock prices?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 241-277, March.
  27. Kadapakkam, Palani-Rajan & Martinez, Valeria, 2008. "Ex-dividend returns: The Mexican puzzle," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2453-2461, November.
  28. Maria Borges, 2008. "The Ex-Dividend Day Stock Price Behavior: The Case of Portugal," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(1), pages 15-30, March.
  29. William Hardin & Gow-Cheng Huang & Kartono Liano, 2012. "Dividend Size, Yield, Clienteles and REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 435-449, August.
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